Transfer principle for fractional Ornstein-Uhlenbeck processes

Tommi Sottinen, Lauri Viitasaari

Published 2023-11-01Version 1

We prove the transfer principle for fractional Ornstein-Uhlenbeck processes, i.e., we construct a Brownian motion that has the same filtration as the fractional Ornstein-Uhlenbeck process and then represent the fractional Ornstein-Uhlenbeck process by using the constructed Brownian motion. As applications of the transfer principle we consider prediction.